This is significantly above the 0.72% returned in the same period of 2002. On the whole the first 3 months of 2003 have been characterized by steady returns. Volatility appears to have contracted with the range of monthly returns seen so far this year being 0.25% to 0.34%, which starkly contrasts with the 0.12% to 0.66% range seen in the last quarter of 2002. The best performing region has been Latin America, where overall credit margins in the LATAM index have contracted by 35 basis points over the first quarter of 2003.
|
|
31-Mar-03 |
MoM Change |
YTD Change |
|
Total Return |
1,208.01 |
0.25% |
0.93% |
|
Av Spread (bps) |
204.63 |
12.86 |
5.80 |
|
|
|
|
|
|
LATAM |
1,194.00 |
0.64% |
1.83% |
|
Av Spread (bps) |
401.94 |
(9.98) |
(34.81) |
|
|
|
|
|
|
EMEA |
1,244.59 |
0.01% |
0.48% |
|
Av Spread (bps) |
211.20 |
36.70 |
46.62 |
|
|
|
|
|
|
ASIA |
1,191.74 |
0.14% |
0.60% |
|
Av Spread (bps) |
62.26 |
12.02 |
4.68 |
However, March has seen a wide diversity amongst the regions. The LATAM index continued to benefit from further contractions in credit margins in Brazil, where there has been a 25 basis points lowering of margins over the month. However, in the index as a whole credit margins increased by nearly 13 basis points in March, driven by a sell off in Turkey and Korea, both markets that have generated high volumes of trade paper over the last couple of years. In Turkey liquidity has fallen off dramatically, and this has started to have an effect on the margin demanded by the secondary market in particular. In Korea the effect of the accounting scandal at SK Global has brought credit margins back up to levels last seen at the start of 2001.
The following table breaks down the performance for the Total Return Index between capital appreciation and interest accrual (note that, because of compounding effects, the constituents may not sum to the total):
|
|
Accrual |
Capital |
Total Ret |
|
January |
0.35% |
0.00% |
0.36% |
|
February |
0.32% |
0.21% |
0.53% |
|
March |
0.33% |
-0.50% |
-0.17% |
|
April |
0.40% |
0.35% |
0.75% |
|
May |
0.36% |
0.09% |
0.45% |
|
June |
0.31% |
0.19% |
0.50% |
|
July |
0.35% |
0.07% |
0.43% |
|
August |
0.30% |
0.24% |
0.55% |
|
September |
0.30% |
0.07% |
0.38% |
|
October |
0.31% |
0.06% |
0.37% |
|
November |
0.28% |
-0.16% |
0.12% |
|
December |
0.31% |
0.35% |
0.66% |
|
January 2003 |
0.28% |
0.05% |
0.33% |
|
February |
0.25% |
0.09% |
0.34% |
|
March |
0.27% |
-0.02% |
0.25% |
Further information on the LTP Trade Finance Index™ can be obtained by contacting:
Tel: (+44) 020 7292 7963
